Package: LocalCop 0.0.2

LocalCop: Local Likelihood Inference for Conditional Copula Models

Implements a local likelihood estimator for the dependence parameter in bivariate conditional copula models. Copula family and local likelihood bandwidth parameters are selected by leave-one-out cross-validation. The models are implemented in 'TMB', meaning that the local score function is efficiently calculated via automated differentiation (AD), such that quasi-Newton algorithms may be used for parameter estimation.

Authors:Elif Fidan Acar [aut], Martin Lysy [aut, cre], Alan Kuchinsky [ctb]

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NEWS

# Install 'LocalCop' in R:
install.packages('LocalCop', repos = c('https://mlysy.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/mlysy/localcop/issues

On CRAN:

14 exports 1 stars 1.40 score 9 dependencies 7 scripts 186 downloads

Last updated 6 days agofrom:be4286d1af. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 12 2024
R-4.5-win-x86_64OKSep 12 2024
R-4.5-linux-x86_64OKSep 12 2024
R-4.4-win-x86_64OKSep 12 2024
R-4.4-mac-x86_64OKSep 12 2024
R-4.4-mac-aarch64OKSep 12 2024
R-4.3-win-x86_64OKSep 12 2024
R-4.3-mac-x86_64OKSep 12 2024
R-4.3-mac-aarch64OKSep 12 2024

Exports:BiCopEta2ParBiCopEta2TauBiCopPar2EtaBiCopTau2EtaCondiCopLikCVCondiCopLocFitCondiCopLocFunCondiCopSelectKernBetaKernBiQuadKernEpaKernGausKernTriAngKernWeight

Dependencies:ADGofTestlatticeMASSMatrixmvtnormRcppRcppEigenTMBVineCopula

LocalCop: Local likelihood inference for conditional copulas

Elif F. Acar, Martin Lysy

Rendered fromLocalCop.Rmdusingknitr::rmarkdownon Sep 12 2024.

Last update: 2024-09-06
Started: 2024-09-05